Versatile regression: Simple regression with a non-normal error distribution

We present a simple regression technique, called Versatile Regression, where the error distribution is described by the Generalized Lambda Distribution. The flexibility of this distribution allows the error distribution to be heavy-tailed, skewed or approximately normal. Versatile Regression was found to perform well on heavy-tailed and skewed data. Versatile Regression also provided a reasonable approximation to Normal-Error Regression. Simulation studies found that Versatile Regression produced accurate parameter estimates.